Semi-markov risk models for finance, insurance and reliability

Jacques Janssen and Raimondo Manca

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: This book presents applications of semi-Markov processes in finance, insurance and reliability, using real-life problems as examples. After a presentation of the main probabilistic tools necessary for understanding of the book, the authors show how to apply semi-Markov processes in finance, starting from the axiomatic definition and continuing eventually to the most advanced financial tools, particularly in insurance and in risk-and-ruin theories. Also considered are reliability problems that interact with credit risk theory in finance. The unique approach of this book is to solve finance and insurance problems with semi-Markov models in a complete way and furthermore present real-life applications of semi-Markov processes. Audience This book is intended for applied mathematicians, statisticians, financial intermediaries, actuaries, engineers, operations researchers. © 2007 Springer Science+Business Media, LLC. All rights reserved.

Pages: 429 p.
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:ulb:ulbeco:2013/234398

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